There are lots of ways to achieve this. One is to create an oscillator circuit, commonly done with one or more 555 timers. Google "555 siren" and you'll find hundreds of examples, like this collection of sirens and alarms based on 555 timers
Of course you can also do this with the Arduino, by varying the frequency of a square wave output to an Arduino pin, which is then connected to a speaker. Googling "Arduino siren" results in pages of such projects. You can get this effect commonly using analogWrite
on a PWM capable pin, or the tone() function
on most Arduino pins.